The profitability of technical trading rules in the Bitcoin market

Dirk Gerritsen, Elie Bouri (), Ehsan Ramezanifar and David Roubaud ()

Finance Research Letters, 2020, vol. 34, issue C

Abstract: We apply seven trend-following indicators to assess the profitability of technical trading rules in the Bitcoin market. Using daily price data from July 2010 to January 2019, our main results show that specific technical analysis trading rules, mainly trading range breakout, contain significant forecasting power for Bitcoin prices, allowing the outperformance of the buy-and-hold strategy through the Sharpe ratio computed via the bootstrapping method. Results from various sub-periods, representing normal and boom markets, generally confirm our main finding and show that the added value of the trading range breakout rule delivers outperformance in strongly trending markets.

Keywords: Technical analysis; Trading rules; Profitability; Excess return; Bitcoin (search for similar items in EconPapers)
JEL-codes: C22 G10 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319303770
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303770

DOI: 10.1016/j.frl.2019.08.011

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().